22.3 Iterative Techniques Applied to Sparse Matrices

The left division \ and right division / operators,
discussed in the previous section, use direct solvers to resolve a
linear equation of the form x = A \ b or
x = b / A. Octave equally includes a number of
functions to solve sparse linear equations using iterative techniques.

Function File: x =pcg(A, b, tol, maxit, m1, m2, x0, …)

Function File: [x, flag, relres, iter, resvec, eigest] =pcg(…)

Solve the linear system of equations A * x = b
by means of the Preconditioned Conjugate Gradient iterative method. The
input arguments are

A can be either a square (preferably sparse) matrix or a function
handle, inline function or string containing the name of a function which
computes A * x. In principle, A should be
symmetric and positive definite; if pcg finds A not to be
positive definite, a warning is printed and the flag output will be
set.

b is the right-hand side vector.

tol is the required relative tolerance for the residual error,
b-A * x. The iteration stops if
norm (b-A * x) ≤ tol * norm (b).
If tol is omitted or empty then a tolerance of 1e-6 is used.

maxit is the maximum allowable number of iterations; if maxit
is omitted or empty then a value of 20 is used.

m = m1 * m2 is the (left) preconditioning matrix, so that
the iteration is (theoretically) equivalent to solving by pcgP * x = m \ b, with
P = m \ A.
Note that a proper choice of the preconditioner may dramatically
improve the overall performance of the method. Instead of matrices
m1 and m2, the user may pass two functions which return
the results of applying the inverse of m1 and m2 to
a vector (usually this is the preferred way of using the preconditioner).
If m1 is omitted or empty [] then no preconditioning is
applied. If m2 is omitted, m = m1 will be used as
a preconditioner.

x0 is the initial guess. If x0 is omitted or empty then the
function sets x0 to a zero vector by default.

The arguments which follow x0 are treated as parameters, and passed in
a proper way to any of the functions (A or m) which are passed
to pcg. See the examples below for further details. The output
arguments are

x is the computed approximation to the solution of
A * x = b.

flag reports on the convergence. A value of 0 means the solution
converged and the tolerance criterion given by tol is satisfied.
A value of 1 means that the maxit limit for the iteration count was
reached. A value of 3 indicates that the (preconditioned) matrix was found
not to be positive definite.

relres is the ratio of the final residual to its initial value,
measured in the Euclidean norm.

iter is the actual number of iterations performed.

resvec describes the convergence history of the method.
resvec(i,1) is the Euclidean norm of the residual, and
resvec(i,2) is the preconditioned residual norm, after the
(i-1)-th iteration, i = 1, 2, …, iter+1.
The preconditioned residual norm is defined as
norm (r) ^ 2 = r' * (m \ r) where
r = b - A * x, see also the
description of m. If eigest is not required, only
resvec(:,1) is returned.

eigest returns the estimate for the smallest eigest(1)
and largest eigest(2) eigenvalues of the preconditioned matrix
P = m \ A. In particular, if no
preconditioning is used, the estimates for the extreme eigenvalues of
A are returned. eigest(1) is an overestimate and
eigest(2) is an underestimate, so that
eigest(2) / eigest(1) is a lower bound for
cond (P, 2), which nevertheless in the limit should
theoretically be equal to the actual value of the condition number.
The method which computes eigest works only for symmetric positive
definite A and m, and the user is responsible for verifying this
assumption.

Let us consider a trivial problem with a diagonal matrix (we exploit the
sparsity of A)

Solve the linear system of equations A * x = b
by means of the Preconditioned Conjugate Residuals iterative
method. The input arguments are

A can be either a square (preferably sparse) matrix or a
function handle, inline function or string containing the name
of a function which computes A * x. In principle
A should be symmetric and non-singular; if pcr
finds A to be numerically singular, you will get a warning
message and the flag output parameter will be set.

b is the right hand side vector.

tol is the required relative tolerance for the residual error,
b - A * x. The iteration stops if
norm (b - A * x) <=
tol * norm (b - A * x0).
If tol is empty or is omitted, the function sets
tol = 1e-6 by default.

maxit is the maximum allowable number of iterations; if
[] is supplied for maxit, or pcr has less
arguments, a default value equal to 20 is used.

m is the (left) preconditioning matrix, so that the iteration is
(theoretically) equivalent to solving by pcrP *
x = m \ b, with P = m \ A.
Note that a proper choice of the preconditioner may dramatically
improve the overall performance of the method. Instead of matrix
m, the user may pass a function which returns the results of
applying the inverse of m to a vector (usually this is the
preferred way of using the preconditioner). If [] is supplied
for m, or m is omitted, no preconditioning is applied.

x0 is the initial guess. If x0 is empty or omitted, the
function sets x0 to a zero vector by default.

The arguments which follow x0 are treated as parameters, and
passed in a proper way to any of the functions (A or m)
which are passed to pcr. See the examples below for further
details. The output arguments are

x is the computed approximation to the solution of
A * x = b.

flag reports on the convergence. flag = 0 means
the solution converged and the tolerance criterion given by tol
is satisfied. flag = 1 means that the maxit limit
for the iteration count was reached. flag = 3 reports t
pcr breakdown, see [1] for details.

relres is the ratio of the final residual to its initial value,
measured in the Euclidean norm.

iter is the actual number of iterations performed.

resvec describes the convergence history of the method,
so that resvec (i) contains the Euclidean norms of the
residual after the (i-1)-th iteration, i =
1,2, …, iter+1.

Let us consider a trivial problem with a diagonal matrix (we exploit the
sparsity of A)

The speed with which an iterative solver converges to a solution can be
accelerated with the use of a pre-conditioning matrix M. In this
case the linear equation M^-1 * x = M^-1 *
A \ b is solved instead. Typical pre-conditioning matrices
are partial factorizations of the original matrix.

Built-in Function: [L, U, P, Q] =luinc(A, '0')

Built-in Function: [L, U, P, Q] =luinc(A, droptol)

Built-in Function: [L, U, P, Q] =luinc(A, opts)

Produce the incomplete LU factorization of the sparse matrix A.
Two types of incomplete factorization are possible, and the type
is determined by the second argument to luinc.

Called with a second argument of '0', the zero-level incomplete
LU factorization is produced. This creates a factorization of A
where the position of the non-zero arguments correspond to the same
positions as in the matrix A.

Alternatively, the fill-in of the incomplete LU factorization can
be controlled through the variable droptol or the structure
opts. The UMFPACK multifrontal factorization code by Tim A.
Davis is used for the incomplete LU factorization, (availability
http://www.cise.ufl.edu/research/sparse/umfpack/)

droptol determines the values below which the values in the
LU factorization are dropped and replaced by zero. It must be a
positive scalar, and any values in the factorization whose absolute value
are less than this value are dropped, expect if leaving them increase the
sparsity of the matrix. Setting droptol to zero results in a complete
LU factorization which is the default.

opts is a structure containing one or more of the fields

droptol

The drop tolerance as above. If opts only contains droptol
then this is equivalent to using the variable droptol.

milu

A logical variable flagging whether to use the modified incomplete
LU factorization. In the case that milu is true, the dropped
values are subtracted from the diagonal of the matrix U of the
factorization. The default is false.

udiag

A logical variable that flags whether zero elements on the diagonal of
U should be replaced with droptol to attempt to avoid singular
factors. The default is false.

thresh

Defines the pivot threshold in the interval [0,1]. Values outside that
range are ignored.

All other fields in opts are ignored. The outputs from luinc
are the same as for lu.

Given the string argument "vector", luinc returns the
values of pq as vector values.